The Role of Regime Shifts in the Term Structure of Interest Rates: Further Evidence from an Emerging Market
Küçük Resim Yok
Tarih
2012
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In this paper, we investigate the interrelationships among Turkish interest rates having different maturities by using a regime-switching vector error correction model. We find a relationship of long-run equilibrium among interest rates having various maturities. Furthermore, we conclude that term structure dynamics exhibit significant nonlinearity. A forecasting experiment also reveals that the nonlinear term structure models fare better in forecasting than other linear specifications. However, we cannot conclude that interest rate adjustments are made in an asymmetric way in the long run.
Açıklama
Anahtar Kelimeler
Cointegration, Forecast Evaluation, Forecasting, Regime Switching, Term Structure Of İnterest Rates, Tests
Kaynak
Emerging Markets Finance and Trade
WoS Q Değeri
Q1
Scopus Q Değeri
Cilt
48
